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The score function and a comparison of various adjustments of the profile likelihood
Authors:A. C. Davison  J. E. Stafford
Abstract:Several adjustments of the profile likelihood have the common effect of reducing the bias of the associated score function. Hence expansions for the adjusted score functions differ by a term, Dξ, that has small asymptotic order (n ). The effect of Dξ on other quantities of interest is studied. In particular, we find the bias and variance of the adjusted maximum-likelihood estimate to be relatively unaffected, while differences in the Bartlett correction depend on Dξ in a simple way.
Keywords:Computer algebra  likelihood ratio  maximum likelihood estimator  modified profile likelihood  score function
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